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Jusay · 2021年06月26日

up move 和down move什么意思 没太懂

  1. CFA I
  2. Quantitative

NO.PZ2018062016000095

问题如下：

Using two-period binomial model, Jack wants to calculate the terminal value of a put option. If the current price of the underlying asset is $150 and the strike price is $120, the size of an up move is 1.69 and a down move is 0.59. Only when the price is below the strike price can the option has a positive value, otherwise the value will be zero. How many terminal nodes can give back positive return？

选项：

A.

1

B.

2

C.

0

解释：

A is correct. Only the third node has a value less than $120, which is $52.22.

知道是二叉树和看跌期权，关键这几个值怎么计算出来的 从视频一直学习过来没看到讲过这个概念。没太能读懂题

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1 个答案

星星_品职助教 · 2021年06月26日

同学你好，

这里没有概念，按照字面意思直译即可，

the size of an up move is 1.69就是向上移动1.69倍，即150×1.69=253.5；253.5×1.69=428.415；

down move同理。对应数字乘以0.59即可。

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